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Nonlinear Mean Reversion in Stock Prices
Fundamental value mean reversion present value model STAR model
2010/9/7
In this paper we investigate mean reversion dynamics in the deviation of the yearly S&P 500 index from its fundamental value. We consider different versions of the present value model with constant an...
The Only Game in Town: Stock-Price Consequences of Local Bias
The Only Game in Town Stock-Price Consequences Local Bias
2014/3/18
Theory suggests that, in the presence of local bias, the price of a stock should be decreasing in the ratio of the aggregate book value of firms in its region to the aggregate risk tolerance of invest...
Toward the Effect of Audit Quality on Earnings Management——Empirical Evidence from Manufacturing Enterprises Listed in Shanghai Stock Market
audit quality earnings management discretionary accruals dual audit non-dual Audit First Ten auditors non-First Ten auditors
2007/7/4
Nowadays, earnings management is a hot issue, but most of the researches focus on the incentives of earnings management and few of them refer to the effect of audit quality on earnings management. In ...
Harrison Hong is Professor of Economics, Princeton University, Princeton, New Jersey. Jeremy C. Stein is Moise Y. Safra Professor of Economics, Harvard University, and Research Associate, National Bur...
Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation
asymmetric correlations market portfolios felicity function
2011/4/6
In this paper, we provide a model-free test for asymmetric correlations in which stocks move
more often with the market when the market goes down than when it goes up. We also provide
such tests for...
International Stock Markets Comovements: the Role of Economic and Financial Integration
stock markets Ö nancial integration economic integration factor vector autoregressive models G-7.
2014/6/25
In this paper the contributions of economic and Önancial integration to international stock markets comovements are investigated by means of a large scale macroeconometric model, set in the facto...
Comovements in International Stock Markets
realized volatility realized correlation stock markets fi nancial integration economic integration
2014/6/25
In the paper monthly realized moments for stock market returns for the US, the UK, Germany and Japan are employed to assess the linkages holding across moments and markets over the period 1973-2004. I...
Do Industries Lead Stock Markets?
Asset Pricing Information and Market Efficiency Financial Markets and Macroeconomy International Financial Markets
2014/3/18
We investigate whether the returns of industry portfolios are able to predict the movements of stock markets. In the U.S., we find that a significant number of industry returns, including retail, serv...
DOES THE STOCK MARKET AFFECT INCOME DISTRIBUTION? SOME EMPIRICAL EVIDENCE FOR THE US
common trends model economic growth stock market income distribution
2014/6/26
What is the relation between the stock market and income distribution? There are many potential links between the two, some of which associated with the relations of each of these with the rate of eco...
Breadth of Ownership and Stock Returns
Differences of opinion Short-sales constraints Return predictability
2014/3/18
We develop a stock market model with differences of opinion and short-sales constraints.When breadth is low—i.e., when few investors have long positions—this signals that the shortsales constraint is ...
Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Crashes Trading volume Skewness
2014/3/18
We develop a series of cross-sectional regression specifications to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have experien...